Spillover effects in the presence of structural breaks, persistence and conditioned heteroscedasticity
Francisca Mendonça Souza, Claudia Aline de Souza Ramser, Adriano Mendonça Souza, Claudimar Pereira da Veiga
| Year of publication: |
2023
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|---|---|
| Authors: | Souza, Francisca Mendonça ; Ramser, Claudia Aline de Souza ; Souza, Adriano Mendonça de ; Veiga, Claudimar Pereira da |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4960, ZDB-ID 2515861-2. - Vol. 18.2023, 2, Art.-No. 2250034, p. 1-51
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| Subject: | conditioned heteroscedasticity | Finance | interest rates | persistence | stock markets | structural breaks | yields | Strukturbruch | Structural break | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Zins | Interest rate | Spillover-Effekt | Spillover effect | Heteroskedastizität | Heteroscedasticity | Einheitswurzeltest | Unit root test | Kapitaleinkommen | Capital income | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2010495222500348 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014442610